On the Rate of Convergence of the Finite-Difference Approximations for Parabolic Bellman Equations with Constant Coefficients

On the Rate of Convergence of the Finite-Difference Approximations for Parabolic Bellman... The error bounds of order $h+\tau^{\frac{1}{2}}$ for two types of finite-difference approximation schemes of parabolic Bellman equations with constant coefficients are obtained, where h is x -mesh size and τ is t -mesh size. The key methods employed are the maximum principles for the Bellman equation and the approximation schemes. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Applied Mathematics and Optimization Springer Journals

On the Rate of Convergence of the Finite-Difference Approximations for Parabolic Bellman Equations with Constant Coefficients

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Publisher
Springer Journals
Copyright
Copyright © 2008 by Springer Science+Business Media, LLC
Subject
Mathematics; Numerical and Computational Methods ; Mathematical Methods in Physics; Mathematical and Computational Physics; Systems Theory, Control; Calculus of Variations and Optimal Control; Optimization
ISSN
0095-4616
eISSN
1432-0606
D.O.I.
10.1007/s00245-008-9037-x
Publisher site
See Article on Publisher Site

Abstract

The error bounds of order $h+\tau^{\frac{1}{2}}$ for two types of finite-difference approximation schemes of parabolic Bellman equations with constant coefficients are obtained, where h is x -mesh size and τ is t -mesh size. The key methods employed are the maximum principles for the Bellman equation and the approximation schemes.

Journal

Applied Mathematics and OptimizationSpringer Journals

Published: Dec 1, 2008

References

  • On the rate of convergence of finite-difference approximations for parabolic Bellman equations with Lipschitz coefficients in cylindrical domains
    Dong, H.; Krylov, N.V.

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